Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0309
Annualized Std Dev 0.2322
Annualized Sharpe (Rf=0%) 0.1332

Row

Daily Return Statistics

Close
Observations 3460.0000
NAs 1.0000
Minimum -0.1303
Quartile 1 -0.0057
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0066
Maximum 0.1803
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0146
Skewness 0.4623
Kurtosis 20.8449

Downside Risk

Close
Semi Deviation 0.0104
Gain Deviation 0.0113
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.6500
Historical VaR (95%) -0.0201
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0157
Modified ES (95%) -0.0157
From Trough To Depth Length To Trough Recovery
2007-07-24 2009-03-06 2013-05-20 -0.6500 1467 409 1058
2020-02-20 2020-03-23 2020-12-31 -0.3810 220 23 197
2015-07-15 2018-12-24 2020-01-16 -0.2435 1136 869 267
2013-05-21 2014-10-15 2015-03-30 -0.1905 468 355 113
2007-06-27 2007-06-29 2007-07-03 -0.0862 5 3 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA -3.6 -1 0 0.9 -3 1.7 0.4 -4.7
2008 -1.2 -0.1 1.2 2 0.2 -1.3 -0.5 -0.2 0 1.7 -3.2 2 0.5
2009 -1.5 -5.5 3.3 0 1 1.4 -0.4 -0.9 -2 -1.3 1 0.6 -4.4
2010 0 1 0 -1.4 -0.7 -1 0.3 1 0.8 0.7 1.8 0.6 3.1
2011 0.7 -0.7 -0.5 0.4 -1.3 0.3 -2.4 -0.7 -1.2 -1.8 0.3 -0.1 -6.9
2012 1.5 0.6 0.6 0.5 -1.9 2.1 0.8 -0.1 0.4 1.5 -0.8 0.8 6.2
2013 0.1 0.4 0 0 -3.3 0.9 1.6 0.2 -2.2 -0.6 0.7 -1 -3.4
2014 -0.2 0.6 1 -0.3 -4.5 3.1 0.7 0.3 -1.5 1.9 -0.2 -0.5 0.1
2015 -0.9 0.5 -0.8 0.2 -0.5 1.3 0.5 -1.6 0.3 -0.3 0.9 0.3 -0.3
2016 1.3 1 0.9 -1 1.6 0.5 0 0.6 -0.5 -1.5 0.1 -0.3 2.7
2017 0.5 0.9 0.2 0.5 0.9 0.3 -0.3 0.1 -0.1 0.1 0.7 0 3.8
2018 0.5 -1.6 0.4 -0.5 0.7 -0.6 -0.5 0.1 0.5 2.8 0.7 -1.4 1
2019 0.1 0.6 0.1 -0.7 -1.3 0.2 -0.3 0.2 -1 0.4 0.1 0.7 -0.9
2020 -2.4 -3.8 -5 -2.5 0.8 1.3 -0.4 -0.3 -0.3 -0.2 1.6 0.7 -10.3
2021 0.5 1.7 0.7 NA NA NA NA NA NA NA NA NA 3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-06-19  8.2  SPY    153.  0.0025    0.0242   0.0043   0.0873    0.230    0.346    0.472 GLD    65.5  0.0082    0.0215
2 2007-06-20  8.3  SPY    151. -0.0139   -0.0049  -0.0092   0.0548    0.222    0.330    0.440 GLD    64.7 -0.0118    0.0028
3 2007-06-25  8.6  SPY    150. -0.00480  -0.02    -0.0081   0.0463    0.204    0.306    0.509 GLD    64.4 -0.0054   -0.008 
4 2007-06-26  8.7  SPY    148. -0.0103   -0.0325  -0.0224   0.038     0.192    0.296    0.486 GLD    63.6 -0.0126   -0.0284
5 2007-06-27  8.5  SPY    150.  0.0142   -0.0049  -0.0121   0.0605    0.203    0.321    0.542 GLD    63.7  0.0008   -0.0161
6 2007-06-28  8.25 SPY    150. -0.0001   -0.0105  -0.0202   0.0592    0.214    0.326    0.539 GLD    64.3  0.00930  -0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart